Journal of Mathematical Finance

Vol.8 No.2(2018), Paper ID 84602, 25 pages

DOI:10.4236/jmf.2018.82025

 

Application of Copula-GARCH to Estimate VaR of a Portfolio with Credit Default Swaps

 

Jhe-Jheng Huang, Leh-Chyan So

 

Department of Quantitative Finance, National Tsing Hua University, Hsinchu City
Department of Quantitative Finance, National Tsing Hua University, Hsinchu City

 

Copyright © 2018 Jhe-Jheng Huang, Leh-Chyan So et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Huang, J. and So, L. (2018) Application of Copula-GARCH to Estimate VaR of a Portfolio with Credit Default Swaps. Journal of Mathematical Finance, 8, 382-407. doi: 10.4236/jmf.2018.82025.
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